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Vocabulary
USD Bond Roll Analysis: ''' Orig Issue Series Out Size Face Value Fed Hold of Outsize Held by the Fed Price Price from local Bloomberg terminal dPrice change of price (= live – 3PM close) Yld Yield (%) dYld daily change (BP) BMCT CT bond Mid Yld-CT Yield BP dMid Yld-CT change of Mid Yield-CT (bp) Impl Mid Lock Px price for CT bonds from BTEC; implied price for off-the-runs Ann 0 Sprd Yield spread to the reference Bond (bp) 0 Sprd Yield spread to the reference Bond (bp) Hedge neutral hedge 3M Repo rate % 3M Carry yield carry (bp) CMT 3M Roll against the on-the-run spline curve C + R 3M Yld + Rolldown Yld.3M Roll Rolldown (bp) CMT RVS CMT dRVS CMT RVS Rich <-> Chp CMT RVS Z-Score ASW(YY) Match-Maturity asset swap spread (bp) True ASW asset swap spread (bp) dASD daily change (bp) z-Sprd to the Libor curve dZ-Sprd daily change 3M Z-Sprd Rich <-> Chp heatmap Z-Sprd Z-Score point equivalent of Z-spread 1 standard deviation change ZSprd 3MRoll rolldown to the matched bond (bp) 3M ASW Carry swap carry (bp) CMTASW 3MRoll swap rolldown against the OTR spline curve (bp) C+R 3M ASW OIS Rate maturity OIS swap rate OIS Sprd(Z) to the OIS curve (bp) OIS dSprd(Z) change of OIS spread Z (bp) 3M OIS-Sprd Rich<->Chp heatmap for OIS spread OIS-Sprd Z-Score point equivalent of OIS spread 1 standard deviation (bp) Sprd Adj Ted dSprd Adj Ted True Ted 0 RVS of 2+ RVS to the reference bond (bp) RVS relative value spread (bp) dRVS daily change (bp) 3M RVS Rich<->Chp heatmap RVS Z-Score standard deviation Par Swap maturity par swap rate Future Symbol symbol of the front contract Gross Basis basis for the front contract dGross Basis change of Gross Basis Fut Repo repo rate to the last delivery date of front contract (%) Net Basis basis for the front contract dNet Basis change of net basis Imp Repo repo rate from the front contract (%) dImp Repo change of imp repo (bp) Par Coupon rate (%) that makes bond price equal par Fwd Date date Fwd Repo repo rate Fwd Yld yield (%) Fwd YldDrop yield drop (bp) 0FwdSprd Yield Inv Sprd (Z Sprd) spread FwdASW (Z Sprd) asset swap spread InvOISSprd (Z Sprd) OIS spread FwdOISSprd (Z Sprd) OIS spread ASWDrop (Z Sprd) swap spread drop Fwd RVS Yld/M.Dur Modified Duration based modified duration DV01 value of 1bp yield rally ISIN Securities Identification Number '''Window -> Spread/BFLY table (USD): Sprd/BFLY your strategy: single security, spread, butterfly, or condor Sprd single security it’s yield or price. For all else it’s yield or price spread dSprd change of day since last business day dSprd/stdev Yld Chart tick-by-tick chart of “Sprd” column 3M Yld Rich <-> Chp month heatmap of “Sprd” Yld Z-Score spread level to the 3 months historical mean in number of standard deviations Gross (-1/2/-1) BFLY Weight Mean Stdev (dChg) 3M (C+R) CT 10 Corr with Treasury benchmark 10s based on 3 months historical data CT 10 Beta data with Treasury benchmark 10s based on 3 months historical data CT 10 Equiv benchmark 10s equivalent position based on dV01 neutral 2/10 Corr 2/10 Residual RSI (14) Sprd OverBought <-> OverSold Sprd Weight Type T.Ted Sprd ASW (YY) True ASW Z-Sprd weighted ASW spread dZ-Sprd change since last business day Z-Sprd Rich <-> Chp months heatmap of “Spread” Z-Sprd Z-Score spread level to the 3 months historical mean in number of standard deviations Stdev dZsprd OIS Sprd (Z) weighted OIS spread dOISSprd (Z) change since last business day 3M OISSprd (Z) Z-Score months heatmap of “Spread” RVS value spread against 2+ model Treasury fair value curve dRVS change since last business day 3M RVS Rich <-> Chp months heatmap of “Spread” RVS Z-Score spread level to the 3 months historical mean in number of standard deviations FwdSprd single security if bond enters future it will show the CTD forward yield. All else, if contain bond futures then shows the CTD forward yield spread. If mixed of bonds and bond future then calculation is same as yield spread, except the bond future will use the CTD forward yield instead for calculation. Inv Yld Inv Sprd (YY) the future price time conversion factor as forward price of CTD bond and then follow the YY matched maturity ASW calculation method to calculate the fwd YY ASW spread of the CTD bond Inv Sprd (Z) the future price time conversion factor as forward price of CTD bond and then follow the Z spread calculation method to calculate the fwd Z spread of the CTD bond dInv Sprd (Z) change since last business day INV OISS (YY) INV OIS (Z) dINV OIS (Z) change since last business day inv Sprd (T.Ted) dInv Sprd (T.Ted) change since last business day 3M Carrry months coupon accrue + repo carry (based on RiskVal repo matrix) CMT 3M Roll months yield curve roll down based on OTR spline curve 3M ASW Carry 3M ASW Roll Gross Basis 1 Gross Basis 2 Gross Basis 3 Gross Basis 4 Repo 1 Rate Repo 2 Rate Repo 3 Rate Repo 4 Rate General: Terminology: Start date= front contracts maturity Start date, end date, and notional UWI BKO=start date End date=match maturity Coupon=OIS Rate Bond maturity range= range of bonds listed (regardless of term, range of options) Bond term= length of bond (2,5, 10, etc. years) Price regression graph (higher= richer, lower= cheaper); all other bond graphs are reversed (higher= cheaper, lower= richer) Category:Vocabulary